Weekend Review of Volatility Indexes and ETPs – 7/23/2017

VIX finished the week just off all-time lows and the VXST – VIX – VXV – VXMT curve shifted lower. This is a result of realized volatility for S&P 500 price action remaining low and there not appearing to be any speed bumps on the horizon for the financial markets.

VVIX dipped below 80.00 to finish the week and TYVIX is near all-time lows despite there being an FOMC meeting this Wednesday. The long funds continue to suffer (discussed a little more shortly) and the short funds are having nothing short of a stellar year.

To be specific SVXY is now up 99.96% for the year. I know that rounds to 100.0%, but since it fell short of a double I rounded down this week.

GS and IBM reported earnings last week and their presence at the bottom of the table below is a result of a post earnings volatility crush. Note GOOG, AAPL, and AMZN are near the top of the table as they are yet to report. The rise in VXN may also be attributed to earnings as just a handful of stocks contribute to a big portion of price action in the Nasdaq-100.

We know the long VIX related ETPs tend to move down over time. Apparently, someone decided that this sort of behavior was going to kick in between the open and the close on Friday for UVXY. Two seconds into the day on Friday someone sold 200 UVXY Jul 21st 30 Calls for 0.80 and purchased 200 UVXY UVXY Jul 21st 34 Calls for 0.25 taking in a net credit of 0.65. The payoff on the close yesterday appears below.

Note that this trade worked out quite well with UVXY finishing the day at 29.79 and both options expiring with no value. I was webcasting last week and got a question about selling options on the Friday of expiration, this is a bit of a deviation of that sort of activity, but a deviation that worked pretty well.